91 citations · 232 across the 26 of their papers we have counts for
32 papers
Binary branching processes with Moran type interactions
Alexander M. G. Cox, Emma Horton, Denis Villemonais
The aim of this paper is to study the large population limit of a binary branching particle system with Moran type interactions: we introduce a new model where particles evolve, re…
SDEs with no strong solution arising from a problem of stochastic control
Alexander M. G. Cox, Benjamin A. Robinson
We study a two-dimensional stochastic differential equation that has a unique weak solution but no strong solution. We show that this SDE shares notable properties with Tsirelson's…
Controlled Measure-Valued Martingales: a Viscosity Solution Approach
Alexander M. G. Cox, Sigrid Källblad, Martin Larsson +1
We consider a class of stochastic control problems where the state process is a probability measure-valued process satisfying an additional martingale condition on its dynamics, ca…
Optimal control of martingales in a radially symmetric environment
Alexander M. G. Cox, Benjamin A. Robinson
We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explic…
Monte-Carlo Methods for the Neutron Transport Equation
Alexander M. G. Cox, Simon C. Harris, Andreas E. Kyprianou +1
This paper continues our treatment of the Neutron Transport Equation (NTE) building on the work in [arXiv:1809.00827v2], [arXiv:1810.01779v4] and [arXiv:1901.00220v3], which descri…
The structure of non-linear martingale optimal transport problems
Alexander M. G. Cox, Matija Vidmar
We explore the structure of solutions to a family of non-linear martingale optimal transport (MOT) problems that involve conditional expectations in the objective functional. En ro…